The demo ends with the shadow of Papo (the monster) in the background, like he's coming finally... and when you get to where the shadow was leading, there's just nothing. You are left thinking "what do I do now?" and the answer is as simple as turning around and leaving, but the way it all builds up is meant to give you a feeling of loss.

To clarify, the demo ends when you see his shadow, and goads you into buying the game. After paying money, you are given nothing. This amplifies that negative feeling.